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Reconstruction of Random Fields Concentrated on an Unknown Curve using Irregularly Sampled Data Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-03-14 Guillaume Perrin, Christian Soize
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Reliability and Optimization for k-out-of-n: G Mixed Standby Retrial System with Dependency and J-Vacation Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-02-28 Qi Shao, Linmin Hu, Fan Xu
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Non-zero-sum Stochastic Differential Games for Asset-Liability Management with Stochastic Inflation and Stochastic Volatility Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-02-22
Abstract This paper investigates the optimal asset-liability management problems for two managers subject to relative performance concerns in the presence of stochastic inflation and stochastic volatility. The objective of the two managers is to maximize the expected utility of their relative terminal surplus with respect to that of their competitor. The problem of finding the optimal investment strategies
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On Survival of Coherent Systems Subject to Random Shocks Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-02-19 Dheeraj Goyal, Nil Kamal Hazra, Maxim Finkelstein
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How Many Digits are Needed? Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-02-08 Ira W. Herbst, Jesper Møller, Anne Marie Svane
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Queueing Inventory System with Multiple Service Nodes and Addressed Retrials from a Common Orbit Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-02-02
Abstract In this paper, we consider a queueing inventory model with K service nodes located apart making it impossible to know the status of the other service nodes. The primary arrival of customers follows Marked Markovian Arrival Process and the service times are exponentially distributed. If a customer arriving at a node finds the server busy or the inventory level to be zero, he joins a common
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The First Exit Time of Fractional Brownian Motion with a Drift from a Parabolic Domain Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-01-29 Yinbing Zhou, Dawei Lu
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On Berman Functions Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2024-01-05 Krzysztof Dȩbicki, Enkelejd Hashorva, Zbigniew Michna
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The Multivariate Generalized Linear Hawkes Process in High Dimensions with Applications in Neuroscience Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-12-19 Masoumeh Fallahi, Reza Pourtaheri, Farzad Eskandari
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Stochastic Dynamics of a Hybrid Delay Food Chain Model with Harvesting and Jumps in a Polluted Environment Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-12-14 Sheng Wang, Lijuan Dong
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A Generalised Matching Distribution for the Problem of Coincidences Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-12-14 Ben O’Neill
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The First-Passage Area of Wiener Process withStochastic Resetting Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-29 Mario Abundo
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Equilibrium Queueing Strategies in M/G/1 Queues with the Reference Time Effect Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-20 Tao Jiang, Li Gao, Xudong Chai
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Distribution of Patterns of Constrained Length in Binary Sequences Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-21 Frosso S. Makri, Zaharias M. Psillakis
On a finite sequence of binary (0-1) trials we define a random variable enumerating patterns of length subject to certain constraints. For sequences of independent and identically distributed binary trials exact probability mass functions are established in closed forms by means of combinatorial analysis. An explicit expression of the mean value of this random variable is obtained. The results associated
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Random Apportionment: A Stochastic Solution to the Balinski-Young Impossibility Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-23 Jyy-I Hong, Joseph Najnudel, Siang-Mao Rao, Ju-Yi Yen
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Bivariate Semi-Parametric Model: Bayesian Inference Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-13 Debashis Samanta, Debasis Kundu
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Asymptotics of Sum of Heavy-tailed Risks with Copulas Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-13 Fan Yang, Yi Zhang
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Ruin Problems for Risk Processes with Dependent Phase-Type Claims Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-07 Oscar Peralta, Matthieu Simon
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A Semi-Markov Model with Geometric Renewal Processes Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-11-04 Jingqi Zhang, Mitra Fouladirad, Nikolaos Limnios
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Three Distributions in the Extended Occupancy Problem Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-30 Ben O’Neill
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Flexible Bayesian Inference for Diffusion Processesusing Splines Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-27 Paul A. Jenkins, Murray Pollock, Gareth O. Roberts
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Continuous-Time Stochastic Analysis of Rumor Spreading with Multiple Operations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-23 François Castella, Bruno Sericola, Emmanuelle Anceaume, Yves Mocquard
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Binomial Approximation to Locally Dependent Collateralized Debt Obligations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-17 Amit N. Kumar, P. Vellaisamy
In this paper, we develop Stein’s method for binomial approximation using the stop-loss metric that allows one to obtain a bound on the error term between the expectation of call functions. We obtain the results for a locally dependent collateralized debt obligation (CDO), under certain conditions on moments. The results are also exemplified for an independent CDO. Finally, it is shown that our bounds
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Simulation Analysis of a Base Station Using Finite Buffer M/G/1 Queueing System with Variant Sleeps Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-02 V. Deepa, M. Haridass
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Strategic Behavior and Optimization of an M/M/1 Queuewith N-Policy and Hysteretic Control Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-10-02 Lingjiao Zhang, Jinting Wang, Yilin Wang
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A New Separation Index and Classification Techniques Based on Shannon Entropy Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-09-22 Jorge Navarro, Francesco Buono, Jorge M. Arevalillo
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Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-08-08 Ailing Gu, Xinya He, Shumin Chen, Haixiang Yao
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Asymptotics for a Bidimensional Renewal Risk Model with Subexponential Main Claims and Delayed Claims Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-08-02 Shijie Wang, Yueli Yang, Yang Liu, Lianqiang Yang
This paper considers a bidimensional renewal risk model with main claims and delayed claims. Concretely, suppose that an insurance company simultaneously operates two kinds of businesses. Each line of business separately triggers two types of claims. One type is the main claim and the other is the delayed claim occurring a little later than its main claim. Assuming that two kinds of main claims, as
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The Effect of Loss Preference on Queueing with Information Disclosure Policy Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-07-20 Jian Cao, Yongjiang Guo, Zhongxin Hu
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Modeling and Control of Data Transmission Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-07-14 Huang Tanhao, Jian Siqi, Chen Jinwen, Dai Yanan
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A Non-equilibrium Geometric No-arbitrage Principle Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-07-12 Wanxiao Tang, Peibiao Zhao
The present paper gets a novel and intimate correspondence between martingale in finances and one-parameter transform group in mathematics. This article confirms a criteria of the no-arbitrage problem in a frictionless financial market and a frictional financial market under the conformal transformation via this correspondence. The geometric no-arbitrage principle posed here also reveals a pricing
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Construction of Jointly Distributed Random Samples Drawn from the Beta Two-Parameter Process Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-27 Hassan Akell, Farkhondeh-Alsadat Sajadi, Iraj Kazemi
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How Many Inner Simulations to Compute Conditional Expectations with Least-square Monte Carlo? Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-20 Aurélien Alfonsi, Bernard Lapeyre, Jérôme Lelong
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On Computing the Multivariate Poisson Probability Distribution Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-20 Bora Çekyay, J.B.G. Frenk, Sonya Javadi
Within the theory of non-negative integer valued multivariate infinitely divisible distributions, the multivariate Poisson distribution plays a key role. As in the univariate case, any non-negative integer valued infinitely divisible multivariate distribution can be approximated by a multivariate distribution belonging to the compound Poisson family. The multivariate Poisson distribution is an important
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A Versatile Stochastic Dissemination Model Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-20 K. M. D. Chan, M. R. H. Mandjes
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Analyzing the Profitability and Efficiency in European Non-Life Insurance Industry Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-14 Bilel Jarraya, Hatem Afi, Anis Omri
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Pairwise Markov Models and Hybrid Segmentation Approach Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-10 Kristi Kuljus, Jüri Lember
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Exact Simulation of Poisson-Dirichlet Distribution and Generalised Gamma Process Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-10 Angelos Dassios, Junyi Zhang
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Nonparametric Estimation of Trend for Stochastic Processes Driven by G-Brownian Motion with Small Noise Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-10 Xuekang Zhang, Shounian Deng, Weiyin Fei
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A Stochastic Schumacher Diffusion Process: Probability Characteristics Computation and Statistical Analysis Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-10 Ahmed Nafidi, Abdenbi El Azri, Ramón Gutiérrez-Sánchez
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Exact Covariances and Refined Asymptotics in Dichromatic Tenable Balanced Pólya Urn Schemes Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-09 Soumaya Idriss, Hosam Mahmoud
In the present paper, we provide exact expressions and sharp asymptotics for the covariance matrix of a dichromatic time-dependent Pólyaurn. We follow a purely combinatorial approach. Although we take interest in the large-index case with a fixed replacement matrix (as it was left open in Mahmoud (2022)), the combinatorial approach we pursue also produces exact expressions and sharp asymptotics for
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On Properties and Applications of Gaussian Subordinated Lévy Fields Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-09 Robin Merkle, Andrea Barth
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Weighted fractional generalized cumulative past entropy and its properties Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-07 Suchandan Kayal, N. Balakrishnan
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Busy Periods for Queues Alternating Between Two Modes Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-07 Igor Kleiner, Esther Frostig, David Perry
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On Familywise Error Rate Cutoffs under Pairwise Exchangeability Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-06 Thomas Fung, Eugene Seneta
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Simultaneous Confidence Regions and Weighted Hypotheses on Parameter Arrays Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-06-03 Yehan Ma, Arthur B. Yeh, John T. Chen
Testing weighted hypotheses simultaneously for a parameter vector has been actively studied in the literature, where the weights encompass information on the importance of the parameters. However, in recent applications of big data analytics for multiple testing on n hypotheses, we are often confronted with the problem of simultaneous inference on a parameter matrix, not a parameter vector. For instance
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Analysis of a Queueing System with Mixed Service Discipline Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-05-31 Alexander Dudin, Sergei Dudin, Olga Dudina
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Application of Bernstein Polynomials on Estimating a Distribution and Density Function in a Triangular Array Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-05-31 Lina Wang, Dawei Lu
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The Log-Logistic Regression Model Under Censoring Scheme Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-05-30 Lucas David Ribeiro-Reis
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Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-05-16 Ning Bin, Huainian Zhu, Chengke Zhang
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Birth, Death, Coincidences and Occupancies: Solutions and Applications of Generalized Birthday and Occupancy Problems Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-29 Qihou Zhou
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Equilibrium Joining Strategies in the Retrial Queue with Two Classes of Customers and Delayed Vacations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-27 Xianyue Shi, Liwei Liu
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Sequences of Improved Two-Sided Bounds for the Renewal Function and the Solutions of Renewal-Type Equations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-25 Stathis Chadjiconstantinidis
Renewal-type and renewal equations usually do not have analytical solutions, and hence bounds for the functions satisfying such equations have a great practical importance. In this paper, sequences of monotone non-decreasing general lower bounds and sequences of monotone non-increasing general upper bounds for a general renewal-type equation converging to the function under interest, are given. Similar
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Stability Analysis for Pricing European Options Regarding the Interest Rate Generated by the Time Fractional Cox-Ingersoll-Ross Processes Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-17 Mohamed Kharrat
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The distribution of extended discrete random sums and its application to waiting time distributions Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-15 S. Chadjiconstantinidis, M. V. Koutras, F. S. Milienos
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Energy Efficiency in a Base Station of 5G Cellular Networks using M/G/1 Queue with Multiple Sleeps and N-Policy Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-04-13 Deena Merit C.K., Haridass M., Dharmaraja Selvamuthu, Priyanka Kalita
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Second-Order Properties for Planar Mondrian Tessellations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-03-24 Carina Betken, Tom Kaufmann, Kathrin Meier, Christoph Thäle
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On Distribution of the Number of Peaks and the Euler Numbers of Permutations Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-03-18 James C. Fu, Wan-Chen Lee, Hsing-Ming Chang
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Four Finite Dimensional (FD) Surrogates for Continuous Random Processes Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-03-17 M. Grigoriu
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Multi-State Joint Survival Signature for Multi-State Systems with Shared Multi-State Components Methodol. Comput. Appl. Probab. (IF 0.9) Pub Date : 2023-03-15 He Yi, Narayanaswamy Balakrishnan, Xiang Li